•The study examines the factors leading to information avoidance during COVID-19 pandemic.•Mass Media, Print Media and official websites are used for information seeking during the pandemic.•Only Social Media exposure results in information overload and information anxiety.•Information overload is strongly associated with information anxiety which gives rise to information avoidance.•We extend the applicability of S-O-R model to the information behavior domain, especially during the uncertain times. Individuals seek information for informed decision-making, and they consult a variety of information sources nowadays. However, studies show that information from multiple sources can lead to information overload, which then creates negative psychological and behavioral responses. Drawing on the Stimulus-Organism-Response (S-O-R) framework, we propose a model to understand the effect of information seeking, information sources, and information overload (Stimuli) on information anxiety (psychological organism), and consequent behavioral response, information avoidance during the global health crisis (COVID-19). The proposed model was tested using partial least square structural equation modeling (PLS-SEM) for which data were collected from 321 Finnish adults using an online survey. People found to seek information from traditional sources such as mass media, print media, and online sources such as official websites and websites of newspapers and forums. Social media and personal networks were not the preferred sources. On the other hand, among different information sources, social media exposure has a significant relationship with information overload as well as information anxiety. Besides, information overload also predicted information anxiety, which further resulted in information avoidance.